ROBUSTNESS OF THE ARROW-PRATT RISK AVERSION MEASURE

被引：8

作者：

KALLBERG, JG ^{[1
]}

ZIEMBA, WT ^{[1
]}

机构：

[1] UNIV BRITISH COLUMBIA, VANCOUVER V6T 1W5, BC, CANADA

来源：

ECONOMICS LETTERS | 1979年 / 2卷 / 01期

关键词：

D O I：

10.1016/0165-1765(79)90200-3

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

For portfolio problems with joint normally distributed asset returns, the risk aversion measure R = -w0(Eu″(w)/Eu′(w)), where w0 is initial wealth can be used to characterize optimality. Comparisons between the global measure R and local measures based on RA = -u″(w)/u′(w) are explored. Simulations for several utility function classes are described. © 1979.

引用

页码：21 / 26

页数：6

共 9 条

[1]

Arrow K., 1971, ESSAYS THEORY RISK B

[2]

KALLBERG JG, UNPUBLISHED

[3]

KALLBERG JG, 1978, 609 U BRIT COL FAC C

[4]

KALLBERG JG, 1978, 621 U BRIT COL FAC C